otherEncyclopedia of Quantitative FinanceFeb 26, 2010Closed access

Partial Differential Equations

HPHuyên Pham

Université Paris Cité

Indexed incrossref

Abstract

Abstract This survey article outlines the various contexts where partial differential equations (PDEs) arise in finance. We discuss, in particular, option pricing, portfolio optimization, and calibration from the PDE viewpoint, and indicate further issues for PDE in finance.

Citation impact

868
total citations
FWCI
—
Percentile
—
References
16
Citations per year

Authors

1

Topics & keywords

Topics
Keywords
  • Partial differential equation
  • Portfolio
  • Applied mathematics
  • Mathematics
  • Calibration
  • Valuation of options
  • Mathematical economics
  • Economics
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